Trails of Treachery Grims and Tomes

Area just before freeing sleigh, just after sending crate away. (Area where you let the chest go down the rope-line to the left of the second image)

Just after freeing sleigh, grab key and head behind the tower. Bonfire to the left of grim too

Just after the first time you lose sleigh, after using draw bridge. The fence that breaks if near the tip of the billhook

Cog wheel area, you can drop from the ledge and grab the tome from below by spamming interact and jumping at it
Alternatively you can grab and ping it through the wall [credit to Xasthur and Quix]

Second Grim a little before final event. Does not matter on the path taken